I can't call PSI functions using the Shared Services impersonation. I get a "The request failed with HTTP status 401: Unauthorized." error.
I'm using the common Derived class to do it, and it doesn't even work in ProjTool (Project Server 2007 SDK sample).
It works without impersonation (i.e. by the pwa/_vti_bin/psi/...asmx) but not through Shared Services, for any user.
I have a double server environment (SQL Server + App Server).
There is no firewall between the servers.